Frederik's father, Christian X, noted in his diary that "Rico" had proposed in Cannes, in the same town and the same month as he himself 25 years earlier had proposed to Frederik's mother Alexandrine. "I take this as a good omen for his future". By coincidence, father and son had also both proposed to the daughter of a Russian Grand Duchess.

Frederik's reason for going to Cannes was to see his ill grandmother, Grand Duchess Anastasia, and while there he happened to meet Princess Olga and got enganged to her on 4 March. However, he soon had to return to Denmark to celebrate his birthday on 11 March at Amalienborg. During the celebration news reached him that his grandmother had died same day, so next morning he travelled again to Cannes, this time with his mother. The King wrote in his diary: "Strange day between supreme happiness and deepest concern".